Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0155
Annualized Std Dev 0.1948
Annualized Sharpe (Rf=0%) -0.0798

Row

Daily Return Statistics

Close
Observations 4484.0000
NAs 1.0000
Minimum -0.1762
Quartile 1 -0.0036
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0041
Maximum 0.1961
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0123
Skewness 0.1483
Kurtosis 47.0187

Downside Risk

Close
Semi Deviation 0.0088
Gain Deviation 0.0101
Loss Deviation 0.0111
Downside Deviation (MAR=210%) 0.0133
Downside Deviation (Rf=0%) 0.0088
Downside Deviation (0%) 0.0088
Maximum Drawdown 0.6762
Historical VaR (95%) -0.0139
Historical ES (95%) -0.0286
Modified VaR (95%) -0.0080
Modified ES (95%) -0.0080
From Trough To Depth Length To Trough Recovery
2004-12-28 2008-11-21 NA -0.6762 4086 985 NA
2004-01-21 2004-05-13 2004-11-24 -0.1529 215 80 135
2003-06-09 2003-09-15 2004-01-16 -0.1286 155 69 86
2004-11-29 2004-12-02 2004-12-07 -0.0184 7 4 3
2004-12-15 2004-12-15 2004-12-22 -0.0065 6 1 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA 0 0 0.5 -0.2 -0.6 0 0.6 0.3 0.7
2004 1.1 0.8 0.8 0.8 0.7 1.5 0.4 0.6 0.4 0.6 0.5 0.1 8.4
2005 -0.1 0.3 0.6 0.4 1 0.7 -0.2 0.1 0.2 0 0.5 1.3 4.9
2006 1.4 0.3 -1.1 0.4 0.1 0 0.2 0.4 0.1 -0.2 0.8 -0.4 2.1
2007 0.4 -0.1 -0.2 -0.3 -0.1 0.8 -2.8 0.6 0.4 -0.4 1.2 1.8 1.3
2008 -0.1 -0.6 1.7 -0.4 0.2 -0.5 0.6 0.3 4.2 3.2 -6 1.8 3.9
2009 -1.3 0 2 2.3 2.1 0.6 1.1 -1.4 -0.7 -2.6 1.7 0.4 4.1
2010 2 0.7 0.5 -0.9 -0.9 0.4 0.2 0.6 -0.1 0.7 0.7 0.4 4.4
2011 0.2 0.7 0.6 0.3 -0.2 0 2.7 0.4 -2 -0.4 -1.4 -0.9 -0.2
2012 0.6 1 -1.1 1.2 -1.1 0.4 0.1 0.1 0.8 1.2 -0.6 0.6 3.2
2013 0.3 1.1 0.2 -0.1 -1.4 1.4 -1 0.4 -0.2 -0.2 0.2 0.6 1.2
2014 -0.3 0 0 -0.1 0.2 -0.6 -1.4 -0.1 0.1 0.3 -0.5 1.4 -0.9
2015 -0.3 0.2 0.4 0.1 0.4 0.1 1.1 0.3 -1.1 0.3 1 -0.3 2
2016 -0.8 1 -0.1 -0.1 -0.5 0 -0.4 0.4 1.2 -1 -0.4 0.3 -0.4
2017 0 0.2 0.1 -0.3 -0.1 0 -0.9 0.6 0.6 0.2 1 -0.3 1.2
2018 0.1 0 0.4 -0.3 0.6 0.2 0.1 0 1 1.7 0 -0.3 3.4
2019 0.2 0 0.7 0.1 -2.3 0.5 -0.3 -0.8 -0.3 0.2 0.1 0.6 -1.4
2020 -0.6 -2.5 -3.6 -0.9 1.6 0.7 0.6 1 0.2 -0.5 0.7 0.3 -3.2
2021 0.7 1.4 -0.2 NA NA NA NA NA NA NA NA NA 2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-05-28  15   SPY    95.7  0.0028   0.0347   0.0423    0.149  -0.115    -0.322       NA <NA>     NA    NA       NA
2 2003-05-29  15.0 SPY    95.4 -0.0026   0.0299   0.0395    0.131  -0.111    -0.319       NA <NA>     NA    NA       NA
3 2003-05-30  15.0 SPY    97.0  0.016    0.0361   0.0548    0.142  -0.0939   -0.298       NA <NA>     NA    NA       NA
4 2003-06-02  15   SPY    97.4  0.0041   0.0383   0.0593    0.158  -0.0921   -0.306       NA <NA>     NA    NA       NA
5 2003-06-03  15.0 SPY    97.8  0.0041   0.0246   0.0487    0.181  -0.0634   -0.291       NA <NA>     NA    NA       NA
6 2003-06-04  15   SPY    99.2  0.0144   0.0365   0.0659    0.188  -0.0523   -0.281       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart